You have to setup your theme to use a "box" javascript. Until version 1.2.8 Zenphoto has Thickbox on board (located in `zp-core/js`). With 1.2.9 that will be replaced with Colorbox. Info how to setup these scripts on their sites. Of course you should read our theming tutorial as well. (btw, your site does not use the default theme but a third party theme).